I have also been looking for a solution to this problem, after messing around with every single application in the windows directory I finally found the application that lets you enable or disable the external modem. It is a program called EMChanger.exe, it will probably be hidden by default in the windows directory "\Windows\EMChanger.exe". But you can add a shortcut to your start menu. I have included the shortcut I have, just whack this in your "\Windows\Start Menu\" folder on the handset. You can also create it manually by finding the application through activesync and creating a shortcut, then moving the shortcut to the Start Menu directory. I have no idea why Samsung did not include a shortcut to this program as standard, some users just need to use it as a modem. You will have to use the modem drivers as mentioned above.
Hope this helps.
modem.zip - I had to a zip file because it would not let me upload a lnk file.